Optimal ARMA Parameter Estimation Based on the Sample Covariances for Data with Missing Observations

IEEE Transactions on Information Theory

Volumn 35, Issue 2, 1989, Pages 342-349

  Rosen, Yonina ^a   Porat, Boaz ^a  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

INFORMATION THEORY; OPTIMIZATION; STATISTICAL METHODS--TIME SERIES ANALYSIS;

ARMA PARAMETERS; ASYMPTOTICALLY OPTIMAL ESTIMATOR; DATA WITH MISSING OBSERVATIONS; OPTIMAL ARMA PARAMETER ESTIMATION; SAMPLE COVARIANCES;

SPECTRUM ANALYSIS;

EID: 0024627008     PISSN: 00189448     EISSN: 15579654     Source Type: Journal    
DOI: 10.1109/18.32128     Document Type: Article

References (12)

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11. B. Porat and B. Friedlander, “Bounds on the accuracy of Gaussian ARMA parameter estimation methods based on sample covariances,” IEEE Trans. Automat. Contr., vol. AC-31, pp. 579-582, June 1986.
12. Y. Rosen, “ARMA spectral estimation of data with misses, based on the sample covariances,” in Proc. 14th Convention IEEE Israel, Mar. 1985.